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Séminaires LEMMA

Mardi 22 janvier 2019 - 11 h 00 - Salle Maurice Desplas

Lorenzo Bastianello (Lemma - Paris II)

"Choquet expected utility across time without lotteries"

Co-écrit avec José Heleno Faro (Insper)

Abstract :

In this paper we axiomatise an inter-temporal version of the Choquet Expected Utility model by recasting Koopmans Discounted Utility model in a framework with uncertainty. A new axiom, called comonotonic stationarity, is proposed as a generalization of Koopmans stationarity axiom. Under other standard axioms used in the theory of inter-temporal choice, a decision maker will evaluate a stream of income through the Choquet integral of discounted utilities. As a dividend, our setting allows to axiomatize the Discounted Expected Utility model.